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Applied Financial Economics Volume 22, 2012 - Issue 7
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Original Articles

Rational speculative bubbles and commodities markets: application of duration dependence test

Riza Emekter Department of Finance, Robert Morris University, Massey Hall 214, 6001 University Boulevard, Moon Township, PA 15108, USA
,
Benjamas Jirasakuldech School of Business, Slippery Rock University of Pennsylvania, 1 Morrow Way, Slippery Rock, PA 16057, USACorrespondence[email protected]
&
Peter Went GARP Research Center, 111 Town Square Place, Suite 1215, Jersey City, NJ 07310, USA
Pages 581-596 | Published online: 06 Feb 2012

Citations (19)

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Dony Abdul Chalid & Rangga Handika. (2022) Comovement and contagion in commodity markets. Cogent Economics & Finance 10:1.
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Articles from other publishers (18)

Benjamas Jirasakuldech, Riza Emekter & Thuy Bui. (2022) Non-linear structures, chaos, and bubbles in U.S. regional housing markets. Journal of Economics and Finance 47:1, pages 63-93.
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Yu Zhang & Xinyi Deng. (2022) Booms and Busts in Chinese Agricultural Markets: An Agent-Based Model. Complexity 2022, pages 1-10.
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Remzi Gök. 2022. Global Risk and Contingency Management Research in Times of Crisis. Global Risk and Contingency Management Research in Times of Crisis 53 75 .
Juan Ignacio Guzmán & Enrique Silva. (2017) Copper price determination: fundamentals versus non-fundamentals. Mineral Economics 31:3, pages 283-300.
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You-How Go & Wee-Yeap Lau. (2017) Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil. Resources Policy 53, pages 135-146.
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Isabel Figuerola-Ferretti & J. Roderick McCrorie. (2016) The shine of precious metals around the global financial crisis. Journal of Empirical Finance 38, pages 717-738.
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Christian Pierdzioch, Marian Risse & Sebastian Rohloff. (2015) Cointegration of the prices of gold and silver: RALS-based evidence. Finance Research Letters 15, pages 133-137.
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Jędrzej Białkowski, Martin T. Bohl, Patrick M. Stephan & Tomasz P. Wisniewski. (2015) The gold price in times of crisis. International Review of Financial Analysis 41, pages 329-339.
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Chris Brooks, Marcel Prokopczuk & Yingying Wu. (2015) Booms and Busts in Commodity Markets: Bubbles or Fundamentals?. Journal of Futures Markets 35:10, pages 916-938.
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Ekaterini Panopoulou & Theologos Pantelidis. (2015) Speculative behaviour and oil price predictability. Economic Modelling 47, pages 128-136.
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Yanping Zhao, Hsu-Ling Chang, Chi-Wei Su & Rui Nian. (2015) Gold bubbles: When are they most likely to occur?. Japan and the World Economy 34-35, pages 17-23.
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Philipp Adämmer & Martin T. Bohl. (2015) Speculative bubbles in agricultural prices. The Quarterly Review of Economics and Finance 55, pages 67-76.
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Benoît Guilleminot, Jean-Jacques Ohana & Steve Ohana. (2014) The interaction of speculators and index investors in agricultural derivatives markets. Agricultural Economics 45:6, pages 767-792.
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Liu-guo SHAO, Xue-hong ZHU, Jian-bai HUANG & Hong-sheng LI. (2013) Empirical study of speculation roles in international copper price bubble formation. Transactions of Nonferrous Metals Society of China 23:8, pages 2475-2482.
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Marc Lammerding, Patrick Stephan, Mark Trede & Bernd Wilfling. (2013) Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach. Energy Economics 36, pages 491-502.
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Chris Brooks, Marcel Prokopczuk & Yingying Wu. (2014) Booms and Busts in Commodity Markets: Bubbles or Fundamentals?. SSRN Electronic Journal.
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Benoît Guilleminot, Jean-Jacques Ohana & Steve Ohana. (2013) The Interaction of Hedge Funds and Index Investors in Agricultural Derivatives Markets. SSRN Electronic Journal.
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Jedrzej Pawel Bialkowski, Martin T. Bohl, Patrick M. Stephan & Tomasz Piotr Wisniewski. (2011) Is There a Speculative Bubble in the Price of Gold?. SSRN Electronic Journal.
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